Artikel

On transaction-cost models in continuous-time markets

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Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs, built in certain recommended ways, have to be paid. Markets prove to behave in manners that resemble those of complete ones for a wide variety of transaction-cost types. The results are important, but not exclusively, for the pricing of options with transaction costs.

Sprache
Englisch

Erschienen in
Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 3 ; Year: 2015 ; Issue: 2 ; Pages: 102-135 ; Basel: MDPI

Klassifikation
Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Thema
risky asset
transaction costs
weakly complete markets
continuous-time markets
cost function
option pricing

Ereignis
Geistige Schöpfung
(wer)
Poufinas, Thomas
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2015

DOI
doi:10.3390/ijfs3020102
Handle
Letzte Aktualisierung
10.03.2025, 11:46 MEZ

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Dieses Objekt wird bereitgestellt von:
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Objekttyp

  • Artikel

Beteiligte

  • Poufinas, Thomas
  • MDPI

Entstanden

  • 2015

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